P/L comparison
Buy & hold
P/L COMPARISON · PERCENT FROM ENTRY
buy & hold · participation factor overlaybuy & hold · Qlib / Alpha158 baseline
Weekly rebalance
P/L COMPARISON · PERCENT FROM ENTRY
weekly rebalance · participation factor overlayweekly rebalance · Qlib / Alpha158 baseline
Performance tables
| Management | Arm | Horizon | Status | Return | Maximum | Max date | Drawdown |
|---|---|---|---|---|---|---|---|
| buy & hold | participation factor overlay | 3 months | complete | -5.27% | 1.49% | 2023-08-30 | -13.30% |
| buy & hold | participation factor overlay | 6 months | complete | 1.98% | 4.18% | 2024-02-12 | -13.30% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -4.50% | 1.60% | 2023-08-30 | -12.76% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | 3.04% | 5.17% | 2024-02-12 | -12.76% |
| weekly rebalance | participation factor overlay | 3 months | complete | -1.51% | 2.31% | 2023-09-01 | -11.13% |
| weekly rebalance | participation factor overlay | 6 months | complete | 4.81% | 6.49% | 2023-12-27 | -11.13% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | -0.28% | 2.42% | 2023-09-01 | -11.34% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 7.00% | 8.20% | 2023-12-27 | -11.34% |
Position ledger
This portfolio holds the initial selection. There are no scheduled rebalance decisions after entry.
Selected arm positions
50 positions in the selected record: buy & hold · participation factor overlay. The charts and performance table above contain all four arms in this formation group.
| Ticker | Entry date | Entry open | Model prediction | Participation score | Excluded |
|---|---|---|---|---|---|
| AAL | 2023-08-21 | 15.06 | 0.6201 | 0.4574 | no |
| ADM | 2023-08-21 | 75.06 | 0.3932 | 0.4971 | no |
| AEP | 2023-08-21 | 70.90 | 0.3093 | 0.4659 | no |
| AIZ | 2023-08-21 | 133.83 | 0.2980 | 0.4568 | no |
| AKAM | 2023-08-21 | 101.00 | 0.3250 | 0.5225 | no |
| ALK | 2023-08-21 | 42.94 | 0.4612 | 0.4328 | no |
| APD | 2023-08-21 | 263.95 | 0.3694 | 0.4955 | no |
| BIIB | 2023-08-21 | 260.92 | 0.2995 | 0.5537 | no |
| CAG | 2023-08-21 | 25.08 | 0.3615 | 0.4434 | no |
| CARR | 2023-08-21 | 51.05 | 0.7398 | 0.4871 | no |
| CMI | 2023-08-21 | 218.76 | 0.4198 | 0.5381 | no |
| CSCO | 2023-08-21 | 51.00 | 0.2908 | 0.4652 | no |
| CZR | 2023-08-21 | 52.44 | 0.2962 | 0.4686 | no |
| DE | 2023-08-21 | 380.02 | 0.3186 | 0.5078 | no |
| DXCM | 2023-08-21 | 106.00 | 0.6305 | 0.4633 | no |
| EBAY | 2023-08-21 | 40.68 | 0.3074 | 0.4711 | no |
| ENPH | 2023-08-21 | 130.63 | 0.4528 | 0.5127 | no |
| ES | 2023-08-21 | 56.11 | 0.2809 | 0.4761 | no |
| ETSY | 2023-08-21 | 73.91 | 0.5622 | — | no |
| EW | 2023-08-21 | 76.83 | 0.3567 | 0.4741 | no |
| F | 2023-08-21 | 9.97 | 0.5255 | 0.4791 | no |
| FDS | 2023-08-21 | 412.10 | 0.3323 | 0.4697 | no |
| FTNT | 2023-08-21 | 58.07 | 0.6283 | 0.5266 | no |
| GNRC | 2023-08-21 | 114.21 | 0.4742 | 0.4488 | no |
| HUM | 2023-08-21 | 470.39 | 0.7737 | 0.4694 | no |
| HWM | 2023-08-21 | 48.52 | 0.3619 | 0.5568 | no |
| JCI | 2023-08-21 | 56.50 | 0.3658 | 0.5006 | no |
| JNJ | 2023-08-21 | 154.70 | 0.3300 | 0.4917 | no |
| KR | 2023-08-21 | 44.40 | 0.2989 | 0.5983 | no |
| LEN | 2023-08-21 | 107.88 | 0.2897 | 0.4366 | no |
| LUV | 2023-08-21 | 30.03 | 0.5370 | 0.4643 | no |
| MDT | 2023-08-21 | 74.06 | 0.3098 | 0.4632 | no |
| MGM | 2023-08-21 | 42.76 | 0.3452 | 0.4513 | no |
| MRNA | 2023-08-21 | 101.99 | 0.2936 | 0.4790 | no |
| ODFL | 2023-08-21 | 194.84 | 0.4610 | 0.4910 | no |
| OTIS | 2023-08-21 | 79.27 | 0.3906 | 0.4987 | no |
| PANW | 2023-08-21 | 118.25 | 0.7564 | 0.5202 | no |
| PAYC | 2023-08-21 | 274.72 | 0.7108 | 0.4455 | no |
| REGN | 2023-08-21 | 817.29 | 0.4365 | 0.5335 | no |
| RJF | 2023-08-21 | 101.10 | 0.2847 | 0.4481 | no |
| RMD | 2023-08-21 | 161.74 | 0.2918 | 0.4546 | no |
| RTX | 2023-08-21 | 80.65 | 0.4269 | 0.5606 | no |
| SWKS | 2023-08-21 | 94.37 | 0.3614 | 0.5305 | no |
| UHS | 2023-08-21 | 126.85 | 0.5600 | 0.4864 | no |
| URI | 2023-08-21 | 442.71 | 0.5008 | 0.5167 | no |
| WEC | 2023-08-21 | 77.14 | 0.3063 | 0.4671 | no |
| WHR | 2023-08-21 | 114.31 | 0.3454 | 0.4806 | no |
| XEL | 2023-08-21 | 52.07 | 0.4263 | 0.4906 | no |
| ZBH | 2023-08-21 | 116.15 | 0.3653 | 0.4717 | no |
| ZTS | 2023-08-21 | 174.56 | 0.3407 | 0.5029 | no |